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views:

560

answers:

2
Q: 

Open Source Financial Library Specifically Yield To Maturity

Does anyone know of an open source financial library that implements Yield To Maturity and other fixed income calculations? The library needs to be callable from .Net.

+1  A: 

Here is a .NET implementation of all of Excel's financial functions, including yield to maturity.

mattnewport  2009-07-23 18:20:01
Yes I saw this in my initial investigation. I know very little of f# and was hesitant to try it hoping to find something else. Is this an irrational hesitation?
Gratzy  2009-07-23 18:23:47
You don't need to know F# to use the library. It's available as a self contained .NET assembly so if you just want to use the functionality then you don't need to know anything about F#. The behaviour matches that of the Excel functions and you can refer to the Excel documentation for usage. If you think you will need to modify the code then the fact that it is implemented in F# might be an issue.
mattnewport  2009-07-23 18:27:30
+1  A: 

Have you looked at Quantlib? Seems to offer a wide array of pricing tools and is callable from .Net, I believe. There's also a port to Java called JQuantLib (www.jquantlib.org) as well, though I don't believe it implements everything in Quantlib quite yet.

David  2009-08-18 09:28:51

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